Max Reppen

Assistant Professor, Finance
  • Office 532

  • BOSTON UNIVERSITY
    Questrom School of Business
    Rafik B. Hariri Building
    595 Commonwealth Avenue
    Boston, MA 02215

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    Education
  • PhD, ETH Zurich, 2018
  • BSc, Stockholm School of Economics, 2013
  • BSc, KTH Stockholm, 2013
  • MSc, KTH Stockholm, 2013
  • MSc, KTH Stockholm, 2013
  • BSc, KTH Stockholm, 2011
    Publications
  • Reppen, A., Soner, H., Tissot-Daguette, V. (In Press). "Deep Stochastic Optimization in Finance", Digital Finance 1-21
  • Geng, S., Nassif, H., Kuang, Z., Reppen, A., Sircar, R. (2023). "Factor Learning Portfolio Optimization Informed by Continuous-Time Finance Models", ICML Workshop on New Frontiers in Learning, Control, and Dynamical Systems
  • Reppen, A., Soner, H. (2023). "Deep empirical risk minimization in finance: Looking into the future", Mathematical Finance, 33 (1), 116-145
  • Li, Z., Reppen, A., Sircar, R. (2023). "A Mean Field Games Model for Cryptocurrency Mining", Management Science, (accepted)
  • Backhoff Veraguas, J., Reppen, A., Tangpi, L. (2022). "Stochastic control of optimized certainty equivalents", SIAM Journal on Financial Mathematics, 13 745-772
  • Keppo, J., Reppen, A., Soner, H. (2021). "Discrete dividend payments in continuous time", Mathematics of Operations Research, 46 (3), 895-911
  • Geng, S., Nassif, H., Manzanares, C., Reppen, A., Sircar, R. (2020). "Deep PQR: Solving Inverse Reinforcement Learning using Anchor Actions", International Conference on Machine Learning (119), 3431-3441
  • Burzoni, M., Ignazio, V., Reppen, A., Soner, H. (2020). "Viscosity solutions for controlled McKean–Vlasov jump-diffusions", SIAM Journal on Control and Optimization, 58 1678-1699
  • Reppen, A., Rochet, J., Soner, H. (2020). "Optimal dividend policies with random profitability", Mathematical Finance, 30 228-259
  • Burzoni, M., Ignazio, V., Reppen, A., Soner, H. (2020). "Viscosity solutions for controlled McKean–Vlasov jump-diffusions", SIAM Journal on Control and Optimization, 58 1678-1699
  • Wheatley, S., Sornette, D., Huber, T., Reppen, M., Gantner, R. (2019). "Are Bitcoin bubbles predictable? Combining a generalized Metcalfe’s Law and the Log-Periodic Power Law Singularity model", Royal Society Open Science, 6
  • Muhle-Karbe, J., Reppen, M., Soner, H. (2017). "A primer on portfolio choice with small transaction costs", Annual Review of Financial Economics, 9
  • Altarovici, A., Reppen, M., Soner, H. (2017). "Optimal Consumption and Investment with Fixed and Proportional Transaction Costs", SIAM Journal on Control and Optimization, 55 1673-1710
    Research Presentations
  • Reppen, A. Neural Optimal Stopping Boundary, INFORMS AN23, Phoenix, AZ, 2023
  • Reppen, A. Neural Optimal Stopping Boundary, ICIAM 2023, Tokyo, Japan, 2023
  • Reppen, A. A Mean Field Games Model for Cryptocurrency Mining, Kyeong-Hee workshop on mathematical finance, Seoul, South Korea, 2023
  • Reppen, A. Neural Optimal Stopping Boundary, Seoul National University Mathematics Seminar, Seoul, South Korea, 2023
  • Reppen, A. Neural Optimal Stopping Boundary, AMaMeF 2023, Bielefeld, Germany, 2023
  • Reppen, A. A mean field games model for cryptocurrency mining, SIAM FM23, Philadelphia, PA, 2023
  • Reppen, A. Neural Optimal Stopping Boundary, SIAM FM23, Philadelphia, 2023
  • Reppen, A. Neural Optimal Stopping Boundary, One World Optimal Stopping, 2023
  • Reppen, A. Neural Optimal Stopping Boundary, CMSA Colloquium, Harvard, 2023
  • Reppen, A. Segmented trading markets: competition, fees, and tax policies, INFORMS Annual Meeting, 2022
  • Reppen, A. Neural Optimal Stopping Boundary, Machine Learning for Optimal Control, Imperial College London, 2022
  • Reppen, A. Neural Optimal Stopping Boundary, SIAM Annual Meeting, 2022
  • Reppen, A. The Cash-Cap Model: A Two-State Model of Firm Dynamics, FMARC, 2022
  • Reppen, A. Discrete Dividend Payments in Continuous Time, University of Southern California, 2022
  • Reppen, A. Stochastic optimal control, free boundaries, and neural networks, IMSI Applications to Financial Engineering, University of Chicago, 2021
  • Reppen, A. A Mean Field Games Model for Cryptocurrency Mining, IMSI Applications of Mean Field Games, 2021
  • Reppen, A. A Unifying Model of the Firm, Princeton University, ORFE Financial Mathematics Seminar, Princeton, 2021
  • Reppen, A. A Mean Field Games Model for Cryptocurrency Mining, 5th Eastern Conference on Mathematical Finance, 2021
  • Reppen, A. A Mean Field Games Model for Cryptocurrency Mining, Berkeley, 2021
  • Reppen, A. Discrete Dividend Payments in Continuous Time, Berlin Seminar on Stochastic Analysis and Stochastic Finance, TU Berlin, 2021
  • Reppen, A. A Mean Field Games Model for Cryptocurrency Mining, UCLA, Department of Mathematics, Financial and Actuarial Mathematics Seminar, 2021
  • Reppen, A. A Mean Field Games Model for Cryptocurrency Mining, Worcester Polytechnic Institute (Research Seminar), 2021
  • Reppen, A. A Mean Field Games Model for Cryptocurrency Mining, University of Michigan Financial and Actuarial Mathematics Seminar, 2021
  • Reppen, A. A Mean Field Games Model for Cryptocurrency Mining, Financial Mathematics Seminar, Florida State University, 2021
    Awards and Honors
  • 2022, Junior Faculty Fellow